CHseas.test {uroot}R Documentation

Canova-Hansen test for seasonal stability

Description

This function computes the Canova-Hansen statistic for testing the null hypothesis that seasonal stability exists against the alternative that the analysed season is not regular. This version of the CH test is equivalent to a KPSS test for each seasonal path.

Usage

      CHseas.test (label, lmax, seas, showcat)
   

Arguments

label a list object with information about the series. The list consist of the following elements. vari, a ts object with the data of the series, s, the periodicity of the series (4, 12, or 1 for quarterly, monthly, or anual data), t0, a vector of two elements indicating the year and season of the first observation, N, number of observations.
lmax lag truncation parameter.
seas a vector of length one indicating the season to analyse.
showcat how the results are showed and stored. If TRUE a brief explanation reports the results. If FALSE a list object stores the results.

Details

Lag truncation parameter lmax indicates the number of autocovariances considered different from zero for estimating the variance of the residuals.

seas is a numeric object indicating the position of the season to analyse.

Value

CH test statistic.

Author(s)

Javier López-de-Lacalle javlacalle@yahoo.es and Ignacio Díaz-Emparanza etpdihei@bs.ehu.es

References

F. Canova and B.E. Hansen (1995), Are seasonal patterns constant over time? A test for seasonal stability. Journal of Business and Economic Statistics, <b>13</b>, 237-252.

D. Kwiatkowski, P.C.B. Phillips, P. Schmidt and Y. Shin (1992), Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-178.

See Also

CH.test.

Examples

     ## Analyse the stability of the first month.
     data(AirPassengers)
     AirP <- list(vari=AirPassengers, s=12, t0=c(1949, 1), N=length(AirPassengers))
     CHseas.test(label=AirP, lmax=3, seas=1, showcat=TRUE)
   

[Package uroot version 1.3 Index]